First you must have the "MYSTERY GIFT" option at the main menu screen after the title. Select that, pick Receive Gift, then pick Via Wireless, and just download it! Once it's in your file, all you have to do is first HAVE ONE OPEN SPACE IN YOUR PARTY then go to a blue PokeMart building and near the counter is a delivery man who will give you your gift... in this case, Deoxys! If you are not satisfied with the stats / nature of Deoxys, you can always turn it off without saving, reloading the file, and get it again from the delivery man to check on the different stats. The stats are generated right when you get Deoxys, so technically you could do this over and over and legitimately get a shiny Deoxys.